Distributions on matrix moment spaces

In this paper we define distributions on the moment spaces corresponding to p×p real or complex matrix measures on the real line with an unbounded support. For random vectors on the unbounded matricial moment spaces we prove the convergence in distribution to the Gaussian orthogonal ensemble or the Gaussian unitary ensemble, respectively.

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Year of publication:	2014
Authors:	Dette, Holger ; Guhlich, Matthias ; Nagel, Jan
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 131.2014, C, p. 17-31
Publisher:	Elsevier
Subject:	Moment spaces \| Random matrices \| Matrix measures \| Random moments \| Gaussian ensemble \| Laguerre ensemble \| Wigner’s semicircle law \| Marchenko–Pastur law

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011041971